Particle filtering approximations for a Gaussian-generalized inverse Gaussian model

DOI10.1016/J.SPL.2008.09.017zbMATH Open1157.60037arXiv1209.4592OpenAlexW2001783937MaRDI QIDQ1004258FDOQ1004258

Authors: Marco Ferrante, Nadia Frigo 

Publication date: 2 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Given a discrete distribution, an interesting problem is to determine the minimum size of a random sample drawn from this distribution, in order to observe a given number of different records. This problem is related with many applied problems, like the Heaps' Law in linguistics and the classical Coupon-collector's problem. In this note we are able to compute theoretically the expected size of such a sample and we provide an approximation strategy in the case of the Mandelbrot distribution.

Full work available at URL: https://arxiv.org/abs/1209.4592

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Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cited In (11)

• A Gaussian-generalized inverse Gaussian finite-dimensional filter.
• Autoregressive model with partial forgetting within Rao-Blackwellized particle filter
• Exact inference for a class of hidden Markov models on general state spaces
• Particle Filtering for Partially Observed Gaussian State Space Models
• Approximate filtering via discrete dual processes
• Particle Filtering With Invertible Particle Flow
• Generalised particle filters with Gaussian mixtures
• Likelihood function modeling of particle filter in presence of non-stationary non-Gaussian measurement noise
• An algorithm for approximating the second moment of the normalizing constant estimate from a particle filter
• Particle filtering for continuous-time hidden Markov models
• Particle Gaussian mixture filters. I.

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